Nathan Lassance

LFIN/LIDAM, UCLouvain

Assistant Professor

151 Chaussée de Binche

Mons, 7000

Belgium

  • LFIN/LIDAM, UCLouvain

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 18,959

in Total Papers Downloads

5,554

TOTAL CITATIONS
Rank 15,915

SSRN RANKINGS

Top 15,915

in Total Papers Citations

78

Ideas:
“  My current research focuses on parameter uncertainty and its application in portfolio selection, asset pricing, regression, and forecast combination.  ”

  • LFIN/LIDAM, UCLouvain

Scholarly Papers (19)

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1.

Optimal Portfolio Diversification via Independent Component Analysis

Operations Research, 2022, 70(1):55-72
Number of pages: 56 Posted: 09 Dec 2018 Last Revised: 08 Feb 2022
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, London Business School and LFIN/LIDAM, UCLouvain
Downloads 1,366 (30,662)
Citation 2

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Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments

2.

The Risk of Expected Utility under Parameter Uncertainty

Management Science (2024), 70(11), 7644-7663
Number of pages: 105 Posted: 01 Jun 2021 Last Revised: 25 Nov 2024
Nathan Lassance, Alberto Martin-Utrera and Majeed Simaan
LFIN/LIDAM, UCLouvain, Iowa State University and Stevens Institute of Technology - School of Business
Downloads 735 (73,065)
Citation 11

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parameter uncertainty, mean-variance portfolio, shrinkage

3.

Maximizing the Out-of-Sample Sharpe Ratio

Number of pages: 61 Posted: 18 Nov 2021 Last Revised: 03 Mar 2022
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 581 (98,653)
Citation 2

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mean-variance portfolio, parameter uncertainty, estimation risk, out-of-sample performance

4.

Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 88 Posted: 03 Jan 2024 Last Revised: 30 Nov 2024
Raymond Kan and Nathan Lassance
University of Toronto - Rotman School of Management and LFIN/LIDAM, UCLouvain
Downloads 415 (148,170)
Citation 42

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portfolio combination, elliptical distribution, estimation risk

5.

Information-Theoretic Approaches to Portfolio Selection

Louvain School of Management Doctoral Thesis
Number of pages: 240 Posted: 04 Jan 2020 Last Revised: 21 Jan 2020
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 341 (184,357)
Citation 1

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Portfolio selection, higher moments, information theory, entropy, independent component analysis

6.

On the Combination of Naive and Mean-Variance Portfolio Strategies

Journal of Business & Economic Statistics (2024), 42(3), 875-889
Number of pages: 98 Posted: 22 Jul 2022 Last Revised: 25 Nov 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 249 (255,888)
Citation 8

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portfolio optimization, parameter uncertainty, estimation risk, equally weighted portfolio, portfolio constraints

7.

Portfolio Selection: A Target-Distribution Approach

European Journal of Operational Research, 310(1), 302-314
Number of pages: 63 Posted: 28 Jul 2021 Last Revised: 25 Nov 2024
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 214 (296,166)
Citation 3

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portfolio optimization, higher moments, downside risk, Kullback-Leibler divergence

8.

The Distribution of Sample Mean-Variance Portfolio Weights

Random Matrices: Theory and Applications (2024), 13(1)
Number of pages: 19 Posted: 18 May 2023 Last Revised: 25 Nov 2024
Raymond Kan, Nathan Lassance and Xiaolu Wang
University of Toronto - Rotman School of Management, LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 201 (314,107)

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portfolio choice; estimation risk; stochastic representation; high-dimensional asymptotics; minimum-variance frontier

9.

A Comparison of Pricing and Hedging Performances of Equity Derivatives Models

Applied Economics, Volume 50, Issue 10, pp. 1122-1137
Number of pages: 15 Posted: 17 Jul 2017 Last Revised: 05 Jan 2018
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 201 (314,107)

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Option Pricing, Dynamic Hedging, Stochastic Volatility, Payoff Replication, Calibration

10.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, 2021, 299(1):23-46.
Number of pages: 37 Posted: 16 May 2017 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 197 (319,990)
Citation 2

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Portfolio selection, Shannon entropy, Rényi entropy, Risk measure, Information theory, Risk parity

11.

Portfolio selection with parsimonious higher comoments estimation

Journal of Banking and Finance (2021), 126(9), 106-115.
Number of pages: 29 Posted: 01 Oct 2019 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 180 (347,556)
Citation 2

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Portfolio selection; Estimation risk; Independent component analysis; Principal component analysis; Higher moments

12.

Optimal Portfolio Size under Parameter Uncertainty

Number of pages: 90 Posted: 11 Jul 2024 Last Revised: 29 Oct 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 139 (431,978)

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portfolio selection, estimation risk, dimension reduction, out-of-sample performance, portfolio combination rules JEL Classification: G11

13.

The distribution of out-of-sample returns of estimated optimal portfolios

Number of pages: 83 Posted: 22 Aug 2024
Nathan Lassance, Raymond Kan and Xiaolu Wang
LFIN/LIDAM, UCLouvain, University of Toronto - Rotman School of Management and Iowa State University
Downloads 136 (439,535)

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portfolio choice, out-of-sample performance, parameter uncertainty, estimation risk, stochastic representation. JEL Classification: G11, G12

14.

Reconciling mean-variance portfolio theory with non-Gaussian returns

European Journal of Operational Research, 2021, 297(2):729-740.
Number of pages: 36 Posted: 15 Sep 2020 Last Revised: 15 Dec 2021
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 136 (439,535)
Citation 4

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Mean-variance portfolio, Higher moments, Estimation risk

15.

The Economic Value of Mean Squared Error: Evidence from Portfolio Selection

Number of pages: 47 Posted: 07 Jun 2024 Last Revised: 22 Nov 2024
Zhaokun Cai, Zhenyu Cui, Nathan Lassance and Majeed Simaan
Stevens Institute of Technology, Students, Stevens Institute of Technology - School of Business, LFIN/LIDAM, UCLouvain and Stevens Institute of Technology - School of Business
Downloads 125 (469,747)

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decision theory, out-of-sample risk, investment, mean-variance portfolio, loss function

16.

Does the Factor Zoo Pay Off? A Portfolio View on Mispricing and the Limited Gains from New Anomalies

Number of pages: 71 Posted: 12 Apr 2024 Last Revised: 14 Feb 2025
Nathan Lassance and Alberto Martin-Utrera
LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 122 (478,725)

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efficient frontier, estimation risk, low-beta anomaly, post-publication decay, sentiment, shorting constraints, transaction costs

17.

An Analytical Shrinkage Estimator for Linear Regression

Downloads 112 (510,596)

An Analytical Shrinkage Estimator for Linear Regression

Statistics & Probability Letters (2023), vol. 194
Number of pages: 6 Posted: 22 Nov 2022 Last Revised: 22 Dec 2022
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 65 (723,134)

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linear regression, prediction error, shrinkage, out-of-sample

An Analytical Shrinkage Estimator for Linear Regression

Number of pages: 6 Posted: 18 Oct 2022
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 47 (846,014)

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linear regression, prediction error, shrinkage, out-of-sample

18.

A Dynamic Shrinkage Covariance Matrix Aligned with Sentiment

Number of pages: 59 Posted: 02 Apr 2020 Last Revised: 19 Nov 2024
Nathan Lassance and Alberto Martin-Utrera
LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 94 (577,021)
Citation 1

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1/N portfolio, arbitrage, estimation risk, mean-variance portfolio

19.

A Sequential Approach to Shrinkage Estimation

Number of pages: 52 Last Revised: 05 Mar 2025
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 10

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bona fide estimator, covariance matrix, high dimensional asymptotics, mean-variance portfolio, precision matrix